VWAP Bands v2 for Amibroker (AFL)

5 / 5 (Votes 5)

I took code that was already posted and improved on it at the poster’s request because it was “too slow”.

I made the following changes:

Code is now 10+ times faster per request.
Added a 3rd band.
Added a static line show prior period’s VWAP centerline
Added Weekly and Monthly period choices. Default is Daily
Included Multi-VWAP display from AB 5.50 — just Delete Study if you don’t want this.

I also note that the VWAP bands provided by AB do not seem to match up exactly with the VWAP indicator as programmed. I do not know enough about the indicator to say for sure, but the “peak” volume from Tomasz VWAP plot does not match up with the ending value of VWAP in this indicator and I should. This is because I think that the VWAP is the same as the Market Profile POC (point of control), but I don’t know for sure.

PS: It’s got a few _TRACE() statements in it that you can delete. They are just for problem solving.

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